Feature selection has the two main objectives of minimising the classification error rate and the number of features. Based on binary particle swarm optimisation (BPSO), we develop two novel multi-objective feature selection frameworks for classification, which are multi-objective binary PSO using the idea of non-dominated sorting (NSBPSO) and multi-objective binary PSO using the ideas of crowding, mutation and dominance (CMDBPSO). Four multi-objective feature selection methods are then developed by applying mutual information and entropy as two different filter evaluation criteria in each of the proposed frameworks. The proposed algorithms are examined and compared with a single objective method on eight benchmark data sets. Experimental results show that the proposed multi-objective algorithms can evolve a set of solutions that use a smaller number of features and achieve better classification performance than using all features. In most cases, NSBPSO achieves better results than the single objective algorithm and CMDBPSO outperforms all other methods mentioned above. This work represents the first study on multi-objective BPSO for filter-based feature selection.